| 布伦特原油价格与美元指数的交互相关性分析 |
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| 引用本文： | 张晶.布伦特原油价格与美元指数的交互相关性分析[J].铜陵学院学报,2014(5):39-41. |
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| 作者姓名： | 张晶 |
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| 作者单位： | 南京财经大学,江苏 南京,210023 |
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| 基金项目： | 教育部人文社科规划基金“金融系统复杂性的表征、成因及演化研究”(12YJAZH020)。 |
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| 摘 要： | 以北海布伦特原油的现货价格和美元指数为研究对象，探讨它们之间的交互相关关系。首先运用交互相关统计量定性地说明布伦特原油价格和美元指数之间存在交互相关关系。然后利用多重分形分析法对它们之间的交互相关性作定量的分析，证实了它们之间的交互相关性具有多重分形特征。同时运用MF-DFA方法对单个研究对象进行自相关分析。
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| 关 键 词： | 布伦特原油 美元指数 交互相关性 多重分形分析 |
The Cross-Correlation Analysis Between Brent Crude Oil Market and US Dollar Indexes |
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| Zhang Jing.The Cross-Correlation Analysis Between Brent Crude Oil Market and US Dollar Indexes[J].Journal of Tongling College,2014(5):39-41. |
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| Authors: | Zhang Jing |
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| Institution: | Zhang Jing (Nanjing University of Finance and Economics, Nanjing Jiangsu 210023, China) |
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| Abstract: | this paper chooses the spot prices of Brent crude oil as well as US dollar indexes as the research objects to discuss their cross-correlation. First, we use the cross-correlation statistics to explain qualitatively the cross-correlation relationships between the re-turn series of crude oil market and US dollar indexes. Then we make a quantitative analysis using multifractal analysis for their cross-cor-relations and confirm that the cross-correlation relationships have multifractal characteristics. At the same time, a multifractal analysis for the auto-correlations of each return series is also made. |
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| Keywords: | Brent crude oil US dollar index cross-correlation multifractal analysis |
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